Mike Shorr explains how to estimate options prices before the market opens. He walks through a worked example using a 30 delta call and a five dollar overnight move, and explains why time and gamma matter more than volatility on short-dated options.
Mike Covered:
- The three inputs behind every option price
- Why he assumes implied volatility stays flat
- His 30 delta example on a five dollar move
- Why his estimate runs conservative
- What drives one-day options more than volatility



